SylabUZ
| Nazwa przedmiotu | Introduction to Mathematical Finance |
| Kod przedmiotu | 11.1-WK-MATP-IMF-S22 |
| Wydział | Wydział Nauk Ścisłych i Przyrodniczych |
| Kierunek | WMIiE - oferta ERASMUS |
| Profil | - |
| Rodzaj studiów | Program Erasmus |
| Semestr rozpoczęcia | semestr zimowy 2023/2024 |
| Semestr | 1 |
| Liczba punktów ECTS do zdobycia | 6 |
| Typ przedmiotu | obieralny |
| Język nauczania | angielski |
| Sylabus opracował |
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| Forma zajęć | Liczba godzin w semestrze (stacjonarne) | Liczba godzin w tygodniu (stacjonarne) | Liczba godzin w semestrze (niestacjonarne) | Liczba godzin w tygodniu (niestacjonarne) | Forma zaliczenia |
| Wykład | 30 | 2 | - | - | Zaliczenie na ocenę |
| Laboratorium | 30 | 2 | - | - | Zaliczenie na ocenę |
The student should accomplish basic tools for money time-value analysis, investment analysis, asset pricing and risk analysis, comparing and building investment strategies with derivatives.
Calculus 1, 2, Linear Algebra 1, Probability Theory.
Lecture:
1. Simple, compound and continuous interest. Nominal and effective rates.
2. Mathematical models for varying rates.
3. Standard and nonstandard annuities and perpetuities.
4. Cash flows – present value, future value, internal rate of return, modified internal rate of return; investment cash flows.
5. Payment of a debt – schedule for a short term and long term debts; actual percentage rate.
6. Term structure of interest rates and yield curves. Bonds – zero-coupon bonds and coupon bonds; duration and convexity; immunization and matching assets and liabilities.
7. Pricing derivative securities – Black Scholes formula and Cox-Ross_Rubinstein formula.
8. Basics of portfolio theory; Capital Asset Pricing Model and Arbitrage Pricing Theory.
9. Von Neumann–Morgenstern expected utility.
Laboratory:
1. Present value and future value of payment in case of simple, discrete and continuously compound interest. Equivalence of nomianal and effective rate, equivalence of interest and discount rate.
2. Calculating present and future value of cash flow for constant and varying rates; annuities and perpetuities.
3. Internal rate of return (numerical aspects and spreadsheet calculation) and modified internal rate of return.
4. Tools for investment analysis: cash flow net present value, internal rate of return, profitability index, playback period. Solving practical problems.
5. Debt repayment plans. Calculation of payments and IRR based comparison of various debt repayment schedules.
6. Derivative securities (futur es, european and american and options) and basic option strategies – pricing in spreadsheet.
Lectures – with conversation and online usage of financial and insurance data.
Laboratory – the use of spreadsheet functions, individual problem solving, individual project report.
| Opis efektu | Symbole efektów | Metody weryfikacji | Forma zajęć |
Assessment of written test, ongoing review of laboratory work, project assessment. The final grade is a weighted mean of lecture grade (60%) and laboratory grade (40%).
1. D. Lovelock, M. Mendel, A.L. Wright, An Introduction to the Mathematics of Money, Springer 2007.
2. A.O. Peters, X. Dong, An Introduction to Mathematical Finance with Applications, Springer 2016.
3. M. Podgórska, J. Klimkowska, Matematyka finansowa, PWN, Warszawa, 2005.
4. Piasecki K., Modele matematyki finansowej, PWN, Warszawa, 2007.
1. Capiński M., Zastawniak T., Mathematics for Finance, Springer, 2003.
2. P. Brandimarte, Numerical Methods in Finanace, John Wiley & Sons, New York, 2002.
3. A. Weron, R. Weron, Inżynieria finansowa, WNT, Warszawa, 1998.
Zmodyfikowane przez dr Dorota Głazowska (ostatnia modyfikacja: 26-04-2023 20:22)
